State-contingent debt instruments such as GDP-linked warrants have garnered attention as
a potential tool to help debt-stressed economies smooth repayments over business cycles …

We analyze how concerns for model misspecification on the part of international lenders
affect the desirability of issuing state-contingent debt instruments in a standard sovereign …

We study the pricing, design, and desirability of sovereign state-contingent debt instruments.
Using a sovereign default model with lenders who fear model misspecification, we find that …

Public debt levels are high globally. For advanced economies, public debt exceeds annual
output and is at a post-WWII high. For emerging markets, where output tends to be more …

GDP linked bonds have their cashflows linked to a country's national output. We present a
model of sovereign default that tracks the sovereign's capacity to pay through the real …

State-contingent debt instruments (SCDIs) are widely considered an optimal way of linking a
country's debt service to its ability-to-pay, by making repayment obligations depend on the …

We model the super-replication of payoffs linked to a country's GDP as a stochastic linear
program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a …

GDP-linked Bonds and Sovereign Default* Page 1 246 4.3.1 Introduction In this paper we
explore the ways in which GDP-linked bonds can stabilize sovereign debt dynamics and …

In this article, we examine the relations between risk, the choice of foreign or local contract
terms (parameters), and maturity in the sovereign debt market. Our primary finding is that the …

GDP-linked bonds have been proposed as a tool to help avoid sovereign defaults and debt
restructurings. This article discusses potential advantages underlying the issuance of such …